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Lloyd, E. H. - 1977

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Stochastic Seasonality, Contemporaneous Inference, and Forecasting in the Presence of Volatile Weather

Nickelsburg, Jerry - 2017

Contemporaneous inference from economic data releases for policy and business decisions has become increasingly relevant in the high pace of the information age. The released data are typically filtered to eliminate seasonal patterns to reveal underlying trends and cycles. The nature of economic...

Persistent link: https://www.econbiz.de/10012972987

Periodic stochastic volatility and fat tails

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Seasonality and stochastic volatility in wheat options

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Seasonal Stochastic Volatility : implications for the pricing of commodity options

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Non-Affine Stochastic Volatility With Seasonal Trends

Gudmundsson, Hilmar - 2020

We propose a new stochastic volatility model for pricing options on assets that exhibit seasonal trends in volatility … 3/2 stochastic volatility model, but includes a cyclical long-run volatility component. The model yields a closed …

Persistent link: https://www.econbiz.de/10012850511

Score-driven models of stochastic seasonality in location and scale : an application case study of the Indian rupee to USD exchange rate

Ayala, Astrid; Blazsek, Szabolcs - In: Applied economics 51 (2019) 37, pp. 4083-4103

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Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility

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Modelling seasonal fractionally integrated process with volatility and structural change

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